The Merton and Heston Model for a Call

Carl Chiarella, Boda Kang and Gunter H. Meyer

Chapter 2 in The Numerical Solution of the American Option Pricing Problem:Finite Difference and Transform Approaches, 2014, pp 3-9 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:The Model

Keywords: American Option; Early Exercise; Method of Lines; Finite Difference Approach; Integral Transform Approach; Numerical Methods (search for similar items in EconPapers)
Date: 2014
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